Method and system for evaluation of market centers for security trading performance

Abstract

A system and method for creating an index value for evaluating market center execution quality. This can include a summation of at least two derived values selected from: an execution speed of a predetermined order of covered security orders that were executed at a market center; price improvement of a predetermined order of covered security orders that were executed at a market center; percentage of covered security orders that were executed at a market center at a quoted value or a better value; a percentage of covered security orders that were executed at outside the quoted value; and effective spread, which is as twice the difference between the securities execution price and the midpoint of a consolidated best bid or offer at the time of a securities order receipt. The index value can be utilized to compare market center executions provided in public data versus that provided by private data.

1. A method for creating an index value for evaluating market center execution quality, with at least one processor, on a security-by-security basis over a period of time comprising:
 utilizing an execution speed of a preexisting order of covered security orders that were executed at a market center to create a first value from empirical measurements; 
 utilizing price improvement of a preexisting order of covered security orders that were executed at a market center to create a second value from empirical measurements; 
 utilizing a percentage of covered security orders that were executed at a market center at a quoted value or a better value to create a third value from empirical measurements; 
 utilizing a percentage of covered security orders that were executed at outside a quoted value to create a fourth value from empirical measurements; 
 utilizing effective spread, which is twice an absolute value of a difference between an execution price for a securities order and a midpoint of a consolidated best bid and offer at a time of a securities order receipt to create a fifth value from empirical measurements; 
 summing at least two of the first value, the second value, the third value, the fourth value, and the fifth value to create an index value; and 
 wherein the utilizing and summing steps are performed by the at least one processor. 
 
   
   
     2. The method for creating an index value for evaluating market center execution quality, with at least one processor, on a security-by-security basis over a period of time according to  claim 1 , further comprising normalizing at least one of the first value, the second value, the third value, the fourth value and the fifth value. 
   
   
     3. The method for creating an index value for evaluating market center execution quality, with at least one processor, on a security-by-security basis over a period of time according to  claim 1 , wherein the index value is computed for at least one marketing center. 
   
   
     4. The method for creating an index value for evaluating market center execution quality, with at least one processor, on a security-by-security basis over a period of time according to  claim 1 , further comprising providing a warning message when the index value falls below a first level. 
   
   
     5. The method for creating an index value for evaluating market center execution quality, with at least one processor, on a security-by-security basis over a period of time according to  claim 1 , further comprising rerouting a securities transaction to another market center when the index value falls below a second level. 
   
   
     6. The method for creating an index value for evaluating market center execution quality, with at least one processor, on a security-by-security basis over a period of time according to  claim 1 , further comprising providing a warning message when the index value falls below a first level and rerouting a securities transaction to another market center when the index value falls below a second level. 
   
   
     7. The method for creating an index value for evaluating market center execution quality, with at least one processor, on a security-by-security basis over a period of time according to  claim 6 , further comprising utilizing a protocol to handle warning messages and rerouting events. 
   
   
     8. The method for creating an index value for evaluating market center execution quality, with at least one processor, on a security-by-security basis over a period of time according to  claim 1 , further comprising comparing the index value computed from public data against the index value computed from private data and determining if the difference is within a percentage. 
   
   
     9. A method for creating an index value for evaluating market center execution quality, with at least one processor, on a security-by-security basis over a period of time comprising:
 utilizing an execution speed of a preexisting order of covered security orders that were executed at a market center to create a first value from empirical measurements; 
 utilizing price improvement of a preexisting order of covered security orders that were executed at a market center to create a second value from empirical measurements; 
 utilizing a percentage of covered security orders that were executed at a market center at a quoted value or a better value to create a third value from empirical measurements; 
 utilizing a percentage of covered security orders that were executed at outside a quoted value to create a fourth value from empirical measurements; 
 utilizing effective spread, which is twice an absolute value of a difference between an execution price for a securities order and a midpoint of a consolidated best bid and offer at a time of a securities order receipt to create a fifth value from empirical measurements; 
 summing the first value, the second value, the third value, the fourth value, and the fifth value to create an index value; and 
 wherein the utilizing and summing steps are performed by the at least one processor. 
 
   
   
     10. The method for creating an index value for evaluating market center execution quality, with at least one processor, on a security-by-security basis over a period of time according to  claim 9 , further comprising normalizing at least one of the first value, the second value, the third value, the fourth value and the fifth value. 
   
   
     11. The method for creating an index value for evaluating market center execution quality, with at least one processor, on a security-by-security basis over a period of time according to  claim 9 , wherein the index value is computed for at least one marketing center. 
   
   
     12. The method for creating an index value for evaluating market center execution quality, with at least one processor, on a security-by-security basis over a period of time according to  claim 9 , further comprising providing a warning message when the index value falls below a first level. 
   
   
     13. The method for creating an index value for evaluating market center execution quality, with at least one processor, on a security-by-security basis over a period of time according to  claim 10 , further comprising providing a warning message, indicating poor securities execution performance, when the index value is less than three hundred (300). 
   
   
     14. The method for creating an index value for evaluating market center execution quality, with at least one processor, on a security-by-security basis over a period of time according to  claim 9 , further comprising rerouting a securities transaction to another market center when the index value falls below a second level. 
   
   
     15. The method for creating an index value for evaluating market center execution quality, with at least one processor, on a security-by-security basis over a period of time according to  claim 10 , further comprising rerouting a securities transaction to another market center when the index value is less than two hundred (200). 
   
   
     16. The method for creating an index value for evaluating market center execution quality, with at least one processor, on a security-by-security basis over a period of time according to  claim 10 , further comprising providing a warning message, indicating poor securities execution performance, when the index value is less than three hundred (300) and rerouting a securities transaction to another market center when the index value is less than two hundred (200). 
   
   
     17. The method for creating an index value for evaluating market center execution quality, with at least one processor, on a security-by-security basis over a period of time according to  claim 10 , further comprising utilizing a protocol to handle warning messages and rerouting events. 
   
   
     18. A system for creating an index value for evaluating market center execution quality, with at least one processor, on a security-by-security basis over a period of time comprising:
 at least one processor programmed to calculate the following values including a first value that correlates to an execution speed of a preexisting order of covered security orders that were executed at a market center from empirical measurements, a second value that correlates to price improvement of a preexisting order of covered security orders that were executed at a market center with the at least one processor from empirical measurements, a third value that correlates to a percentage of covered security orders that were executed at a market center at a quoted value or a better value from empirical measurements, a fourth value that correlates to a percentage of covered security orders that were executed at outside the quoted value from empirical measurements and a fifth value that correlates to effective spread from empirical measurements, which is twice an absolute value of a difference between an execution price of a securities order and a midpoint of a consolidated best bid and offer at a time of a securities order receipt; and 
 at least one processor programmed to sum at least two of the first value, the second value, the third value, the fourth value, and the fifth value to create an index value. 
 
   
   
     19. The system for creating an index value for evaluating market center execution quality, with at least one processor, on a security-by-security basis over a period of time according to  claim 18 , wherein the at least one process normalizes at least one of the first value, the second value, the third value, the fourth value and the fifth value. 
   
   
     20. The system for creating an index value for evaluating market center execution quality, with at least one processor, on a security-by-security basis over a period of time according to  claim 18 , wherein the at least one processor computes an index value for at least one marketing center. 
   
   
     21. The system for creating an index value for evaluating market center execution quality, with at least one processor, on a security-by-security basis over a period of time according to  claim 18 , wherein the at least one processor computes a first index value for ascertaining when a warning message needs to be conveyed indicating poor securities execution performance. 
   
   
     22. The system for creating an index value for evaluating market center execution quality, with at least one processor, on a security-by-security basis over a period of time according to  claim 18 , wherein the at least one processor computes a second index value for ascertaining when a securities transaction needs to be rerouted to another market center. 
   
   
     23. The system for creating an index value for evaluating market center execution quality, with at least one processor, on a security-by-security basis over a period of time according to  claim 18 , wherein the at least one processor computes a first index value for ascertaining when a warning message needs to be conveyed indicating poor securities execution performance and the at least one processor computes a second index value for ascertaining when a securities transaction needs to be rerouted to another market center. 
   
   
     24. The system for creating an index value for evaluating market center execution quality, with at least one processor, on a security-by-security basis over a period of time according to  claim 18 , wherein the at least one processor operates on a protocol to handle warning messages and rerouting events. 
   
   
     25. The system for creating an index value for evaluating market center execution quality, with at least one processor, on a security-by-security basis over a period of time according to  claim 18 , wherein the at least one processor creates index value from public data and an index value from private data and determines if the difference is within a percentage. 
   
   
     26. A system for creating an index value for evaluating market center execution quality, with at least one processor, on a security-by-security basis over a period of time comprising:
 at least one processor programmed to calculate and sum a first value that correlates to an execution speed of a preexisting order of covered security orders that were executed at a market center from empirical measurements, a second value that correlates to price improvement of a preexisting order of covered security orders that were executed at a market center from empirical measurements, a third value that correlates to a percentage of covered security orders that were executed at a market center at a quoted value or a better value from empirical measurements, a fourth value that correlates to a percentage of covered security orders that were executed at outside the quoted value from empirical measurements and a fifth value that correlates to an effective spread from empirical measurements, which is twice an absolute value of a difference between an execution price of a securities order and the midpoint of a consolidated best bid and offer at the time of a securities order receipt. 
 
   
   
     27. The system for creating an index value for evaluating market center execution quality, with at least one processor, on a security-by-security basis over a period of time according to  claim 26 , wherein the at least one processor normalizes the first value, the second value, the third value, the fourth value and the fifth value. 
   
   
     28. The system for creating an index value for evaluating market center execution quality, with at least one processor, on a security-by-security basis over a period of time according to  claim 26 , wherein the at least one processor computes at least one of first index value for ascertaining when a warning message needs to be conveyed indicating poor securities execution performance and a second index value for ascertaining when a securities transaction needs to be rerouted to another market center. 
   
   
     29. The system for creating an index value for evaluating market center execution quality, with at least one processor, on a security-by-security basis over a period of time according to  claim 27 , wherein the at least one processor computes at least one of first index value that is less than three hundred (300) to generate a warning message needs to be conveyed indicating poor securities execution performance and a second index value that is less than two hundred (200) to generate commands to reroute a securities transaction to another market center. 
   
   
     30. The system for creating an index value for evaluating market center execution quality, with at least one processor, on a security-by-security basis over a period of time according to  claim 26 , wherein the at least one processor operates on a protocol to handle warning messages and rerouting events.